This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which … vary according to whether they are in low or high volatility regimes. …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse … response functions (VIRF) provide information about the impact of independent shocks on volatility. HHś VIRF extends a …

This paper features an analysis of the relationship between the volatility of the Dow Jones Industrial Average (DJIA … three standard volatility models, namely GARCH, EGARCH and GJR. We use these alternative daily DJIA market sentiment scores … to examine the relationship between financial news sentiment scores and the volatility of the DJIA return series. We …